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Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Procházková, Jana ; Šopov, Boril (advisor) ; Janda, Karel (referee)
The central issue of this thesis is investigating the eventuality of systemic break- downs in the international financial system through examining systemic depen- dence between bank and insurance sectors. Standard models of systemic risk often use correlation of stock returns to evaluate the magnitude of intercon- nectedness between financial institutions. One of the main drawbacks of this approach is that it is oriented towards observations occurring along the central part of the distribution and it does not capture the dependence structure of outlying observations. To account for that, we use methodology which builds on the Extreme Value Theory and is solely focused on capturing dependence in extremes. The analysis is performed using the data on stock prices of the EU largest banks and insurance companies. We study dependencies in the pre- crisis and post-crisis period. The objective is to discover which sector poses a higher systemic threat to the international financial stability. Also, we try to find empirical evidence about an increase in interconnections in recent post- crisis years. We find that in both examined periods systemic dependence in the banking sector is higher than in the insurance sector. Our results also in- dicate that extremal interconnections in the respective sectors increased,...
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Does the Shale Gas Revolution Mean the End of Biofuels?
Kouřílek, Jakub ; Janda, Karel (advisor) ; Luňáčková, Petra (referee)
World effort to reduce climate changes drives demand for more environmen- tally friendly alternative fuels, since transport emits quarter of total green- house gas emissions. For many years biofuels were main mean for achieving more green transport. Nevertheless, there are rising concerns that some of biofuels have negative environmental and social impacts sometimes worse than fossil fuels. This work links European Union's biofuels development with expansion of natural gas caused by exploitation from shale formations. We examine relationship between biodiesel, natural gas and relevant com- modities by using the price transmission framework. Results indicate weak slowly increasing negative price relation between biodiesel and natural gas. Our work finds favourable legislation for future application of natural gas vehicles. Nonetheless, we conclude that the expansion will not be driven by exploitation of shale gas at European Union territory. 1
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Current Situation on the Czech Electricity Market: with an Emphasis on the Fourth Regulatory Period of the Czech Energy Regulatory Office
Krška, Štěpán ; Janda, Karel (advisor) ; Mikolášek, Jakub (referee)
This thesis examines the current situation on the electricity market in the Czech Republic. A particular emphasis is put on the regulation of distribution system operators (DSOs). The Czech regulator applies only general efficiency factors for all incumbents, and the efficiency of the incumbents is not taken into account in the regulatory formula. In many countries, the regulators apply benchmarking methods to assess the efficiency of operators. This thesis analyses the current regulatory formula in international comparison and considers the application of benchmarking methods to the regulation of DSOs. The first part provides a description of the theoretical approach to the regulation of network industries, relevant legal norms, the current situation on the Czech electricity market and practices of the regulatory bodies in selected European states. The second, empirical, part presents an international benchmarking study based on data of 15 regional DSOs including two Czech operators. The study examines the application of yardstick methods using data envelopment analysis (DEA) and stochastic frontier analysis (SFA). Based on our results, we find that the cost efficiency of each of the Czech DSOs is different. This suggests that introducing individual efficiency factors in the fourth regulatory...
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The Performance of Export Credit Agencies in European Post-Communist Countries
Pšenáková, Lucia ; Janda, Karel (advisor) ; Vaško, Dan (referee)
This thesis contributes to current literature dealing with the topic of sovereign export promotion in form of government-back export credit agencies by analysing a very homogenous group of Central European countries. Export credit agencies in the Visegrad region indeed foster export. Different institu- tional forms of export credit agencies are compared and using example of a small open economy, the Czech Republic, it is suggested that the most prof- itable and effective strategy for governments in comparable countries is to establish an export credit agency offering insurance and export guarantees. The export credit agency with the best performance in the region is Slovak Eximbanka.
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Freeing The Resource Curse; The Economics of Natural Resource and Black Gold in sub-Saharan Africa
Quarshie, Gregory ; Janda, Karel (advisor) ; Babin, Adrian (referee)
It is gradually becoming common knowledge that, natural resources have not been able to make positive impact on economic growth of countries. In that, countries rich in natural resources grow at a slower pace than the resource-poor countries. This occurrence is one of the reasons behind many defections and militant groups against state authority in many resource-rich countries, especially those in sub-Saharan Africa. Using panel data from 1980 to 2010 on 34 sub- Saharan African countries, this paper examines whether institutionalised authority, which is a proxy for state authority, can change the negative relationship between natural resources and economic growth. The key finding is that, institutionalised authority can alter the negative relationship that exists between natural resources and economic growth. JEL Classification C33, O43, Q28, Q33, Q43, Keywords Natural Resources, Economic growth, Institutionalised Authority, Dutch Disease, sub-Saharan Africa
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Measuring Extremes: Empirical Application on European Markets
Öztürk, Durmuş ; Avdulaj, Krenar (advisor) ; Janda, Karel (referee)
This study employs Extreme Value Theory and several univariate methods to compare their Value-at-Risk and Expected Shortfall predictive performance. We conduct several out-of-sample backtesting procedures, such as uncondi- tional coverage, independence and conditional coverage tests. The dataset in- cludes five different stock markets, PX50 (Prague, Czech Republic), BIST100 (Istanbul, Turkey), ATHEX (Athens, Greece), PSI20 (Lisbon, Portugal) and IBEX35 (Madrid, Spain). These markets have different financial histories and data span over twenty years. We analyze the global financial crisis period sep- arately to inspect the performance of these methods during the high volatility period. Our results support the most common findings that Extreme Value Theory is one of the most appropriate risk measurement tools. In addition, we find that GARCH family of methods, after accounting for asymmetry and fat tail phenomena, can be equally useful and sometimes even better than Extreme Value Theory based method in terms of risk estimation. Keywords Extreme Value Theory, Value-at-Risk, Expected Shortfall, Out-of-Sample Backtesting Author's e-mail ozturkdurmus@windowslive.com Supervisor's e-mail ies.avdulaj@gmail.com
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The Impact of Renewable Energy on the EU Electricity Prices and CO2 Emissions
Čech, Marek ; Janda, Karel (advisor) ; Luňáčková, Petra (referee)
This thesis is focused on the topic of electricity pricing in the European Union connected with the increasing use of renewable energy sources in electricity production and consumption. It provides background information related to the types of energy sources along with the summary of their advantages and disadvantages regarding both the environmental impact and financial costs. Furthermore, it involves fundamental global and European electricity production statistics and a summary of the European Union approach to the support of environment-friendly energy production methods. The core of the thesis is then the econometric panel data model (data collected from 13 member states of the European Union over the period between 2010 and 2013) analysing two relationships. First, the impact of the share of renewable energy sources in the final electricity production on the European consumer electricity prices. Second, whether the replacement of fossil fuels by renewable energy causes a significant decrease in the greenhouse gases (specifically carbon dioxide) emissions. In conclusion, this paper provides suggestions for further research based on the analyses included in it. JEL Classification H20, Q20, Q40, Q47, Q48, Q54 Keywords carbon dioxide emissions, electricity price, energy sources, renewable energy...
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Social Costs and Benefits of Czech Beer Industry - Optimal Taxation
Lajksnerová, Zuzana ; Janda, Karel (advisor) ; Macek, Petr (referee)
Zuzana Lajksnerová, 2013/2014 Social Costs and Benfits of Czech Beer Industry - Optimal Taxation Abstract This thesis analyzes the Czech brewing industry by describing its structure, recent development, and social and economic impacts on the society as a whole. The aim is to empirically estimate the optimal level of beer tax, which would balance both social costs and benefits of beer production. For this purpose, we use a model determined by both externality corrections and fiscal considerations as the tax increase is assumed to immediately change other governmental policies such as labor taxation or medical expenditures. The results of our analysis show that under most of the sets of parameters, the current tax rate on beer is under its optimal level and that the fiscal component has a significant impact on the optimal level of tax.
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Forecasting Tobacco Consumption in the Czech Republic
Štrobl, Martin ; Janda, Karel (advisor) ; Soudek, Jan (referee)
This thesis aims to build a theoretical framework to model the future tobacco con- sumption, size of smoking population and governmental tax revenues in the Czech republic. The main assumption of the model states that smokers determine their fu- ture tobacco consumption behavior as adolescents. This strong statement is backed by empirical evidence. Further assumptions are introduced to make the model ap- plicable to the data by the Czech National Monitoring Centre for Drugs and Drug Addiction. The resulting model is simplified, however, is still able to reflect the fu- ture trends induced by upcoming demographic changes to the Czech population and provide forecasts. Future teenage smoking rates and average consumption are the inputs to the model; consumption growth coefficients for each age category are esti- mated using zero-inflated negative binomial regression. Several scenarios are built to model possible developments, including extreme cases. All scenarios showed that all model outcomes are going to grow until 2028 in a very similar pattern. In particular, the projected number of smokers in 2028 is by 4-8% higher than in 2013, the total daily tobacco consumption and tax revenue by 7-26%. This increase is induced by aging of large birth cohorts. Later on, the projected scenarios differ substantially....
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Food vs. Fuel: The Role of Bioenergy
Filip, Ondřej ; Janda, Karel (advisor) ; Pertold-Gebicka, Barbara (referee)
This thesis studies the relationship between the first generation biofuels and selected commodities and assets in the USA, Europe, and Brazil. It is the first attempt to combine the taxonomy and wavelet analyses in a single research application. Our unique dataset comprises 32 weekly price series covering the 2003--2015 time period. First, we employ a method of minimum spanning trees and hierarchical trees to model a biofuel-related price network. We demonstrate a development phase shift between Brazilian and the US/EU biofuel industries. We reveal a strong and stable connection between Brazilian ethanol and its main production factor, local sugarcane. We further find that US ethanol is closely linked to corn. In the contrary, European biodiesel exhibits only moderate ties to its production factors. Subsequent wavelet analysis scrutinizes the identified price connections both in time and frequency domains. Both Brazilian and US ethanols are found to be positively related to their respective feedstock commodities. In particular, feedstock proves to lead the price of the biofuel and not vice versa. Moreover, the dynamics remains qualitatively unchanged when controlled for the influence of crude oil.
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